Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0191
Annualized Std Dev 0.2076
Annualized Sharpe (Rf=0%) -0.0920

Row

Daily Return Statistics

Close
Observations 4627.0000
NAs 1.0000
Minimum -0.1948
Quartile 1 -0.0040
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean -0.0001
Quartile 3 0.0045
Maximum 0.3170
SE Mean 0.0002
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0004
Variance 0.0002
Stdev 0.0131
Skewness 1.8113
Kurtosis 108.5434

Downside Risk

Close
Semi Deviation 0.0094
Gain Deviation 0.0110
Loss Deviation 0.0117
Downside Deviation (MAR=210%) 0.0138
Downside Deviation (Rf=0%) 0.0094
Downside Deviation (0%) 0.0094
Maximum Drawdown 0.7533
Historical VaR (95%) -0.0143
Historical ES (95%) -0.0302
Modified VaR (95%) NA
Modified ES (95%) NA
From Trough To Depth Length To Trough Recovery
2007-01-03 2008-12-15 NA -0.7533 3579 493 NA
2002-11-12 2004-05-13 2005-07-26 -0.1719 679 377 302
2005-09-13 2005-10-19 2005-12-28 -0.0805 75 27 48
2006-01-25 2006-02-13 2006-03-23 -0.0495 41 14 27
2006-05-08 2006-05-24 2006-07-03 -0.0442 40 13 27

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2002 NA NA NA NA NA NA NA NA NA 0 0 0.8 0.8
2003 -1.1 -0.6 -0.4 -0.3 -0.1 0.1 -0.5 0.6 0.4 0.1 -0.2 -0.1 -2.1
2004 -0.4 0.6 -0.1 0.3 0.5 0.9 0.6 0.1 0.4 0.6 0.4 0.1 4
2005 0.1 -0.2 0.1 -0.2 -0.1 0.1 -0.3 0.7 0.4 0.5 0.1 0.4 1.5
2006 0.4 0.4 0 0 2.2 0.4 -0.7 -0.1 -0.1 0.5 0.5 0.9 4.6
2007 0.2 0.1 0.1 0.4 -0.4 0.7 -0.4 0.9 0.6 -0.9 0.7 0.7 2.8
2008 0.2 -3.2 0.9 -0.1 -0.1 1.3 -0.9 -0.6 7.7 -1.2 -19.5 8.2 -9.6
2009 -0.7 1.3 2.2 -1.3 0.4 -3 -2.4 1.6 -0.6 -0.3 0.4 -1.1 -3.4
2010 -1.5 0.9 0.2 -0.5 0.2 -1.1 -0.3 0.6 0.6 0.6 -3.1 1.1 -2.4
2011 1.5 1.3 -0.2 0.2 -0.8 0.2 1.8 0.3 0.1 0.4 0.2 0.1 5.3
2012 -1.4 0.8 0.5 0.5 0.5 0.4 -0.4 0.1 0.6 -0.6 0 1.7 2.6
2013 1 0.1 -0.3 -0.1 -1.6 1.5 -0.4 -0.6 0.1 -3.3 0.5 0.5 -2.7
2014 0.3 -0.1 -0.6 0.9 -0.7 0 0.3 0.2 -0.6 0.1 1.2 0.4 1.4
2015 0.6 1.4 0.2 -0.5 0.1 -0.2 0.6 0.3 0.4 0.1 1.2 0 4.2
2016 0.8 0.1 -0.1 -0.3 1.5 1.3 0.9 0.3 0.2 0 -0.8 0 4
2017 0.6 -0.6 0.1 -0.2 -0.7 0.2 0.2 0.1 -0.3 -0.3 0.9 0.4 0.3
2018 0.5 0.4 -0.1 0.1 -0.1 1.1 0.1 0.3 -0.1 0.3 0.1 0.2 2.8
2019 0.1 0.8 1 0.3 0.3 -0.3 -0.1 0.7 0.9 0.7 0.4 -0.5 4.5
2020 0 -1.6 -2.8 -0.7 0.9 0.8 0.3 2 0.3 1.2 -1.1 -0.1 -0.9
2021 0.8 0.8 0.7 NA NA NA NA NA NA NA NA NA 2.2

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2002-10-29    15 SPY    88.6 -0.0116  -0.0106   0.0829  -0.0284   -0.176   -0.316       NA <NA>     NA    NA       NA
2 2002-10-30    15 SPY    89.4  0.0097  -0.0085   0.0433   0.0073   -0.158   -0.300       NA <NA>     NA    NA       NA
3 2002-10-31    15 SPY    88.5 -0.0102   0.0018   0.0646   0.0199   -0.163   -0.320       NA <NA>     NA    NA       NA
4 2002-11-01    15 SPY    90.3  0.0198   0.0008   0.0967   0.0776   -0.168   -0.329       NA <NA>     NA    NA       NA
5 2002-11-04    15 SPY    91.1  0.0095   0.017    0.128    0.0524   -0.166   -0.335       NA <NA>     NA    NA       NA
6 2002-11-05    15 SPY    91.8  0.0079   0.037    0.161    0.0426   -0.170   -0.322       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart